AIL Backtesting Suite

Portfolio Performance Report

Tickers: BOOT

Period: 2017-08-16 to 2018-12-03

Final Value

$2,828,270.78

Total Return

182.83%

Annualized Return

122.28%

Max Drawdown

38.90%

Sharpe Ratio

1.77

Sortino Ratio

2.98

Calmar Ratio

3.14

Volatility

53.13%

Average Daily Return

0.373%

Best Day

17.86%

Worst Day

-10.19%

Win Rate

51.38%

Recovery Time

Not recovered

External Backtest Comparison

Tolerance: absolute ≤ 1.00e-04, relative ≤ 1.00%

MetricLocalRemoteAbs. diffRel. diffStatus
Final Value$2,828,270.78$2,841,549.04$-13,278.250.47%Within tolerance
Total Return182.83%184.15%-1.33%0.72%Within tolerance
Annualized Return122.28%123.08%-0.80%0.65%Within tolerance
Max Drawdown38.90%38.90%-0.00%0.00%Within tolerance
Sharpe Ratio1.771.770.000.00%Within tolerance
Sortino Ratio2.982.980.000.00%Within tolerance
Calmar Ratio3.143.16-0.020.65%Within tolerance
Volatility53.13%53.13%0.00%0.00%Within tolerance
Win Rate51.38%100.00%-48.62%48.62%Diff exceeds tolerance

Top Contributors (by total return * weight)

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
BOOT100.00%182.83%122.28%53.13%1.772.980.373%182.83%

Bottom Contributors

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
BOOT100.00%182.83%122.28%53.13%1.772.980.373%182.83%

Equity Curve

Drawdown

Daily Return Distribution

Rolling 6M Volatility

Rolling 6M Sharpe

Monthly Return Heatmap

Total Return by Asset

Asset Sharpe Ratios